cannot delete a jpg file in win explorer. Right click/delete disabled, driving me nuts

I am trying to debug a pc running win98se. I have got the
ad-aware/spybot,and nod32 anti- virus running and it found lots of
malware,data mining and spam.
This pc is used mostly by a 15yr old who uses Instant Messenger and
Kazzaa and he's put about 40-50 mp3's and short .avi's on it.

The only bad spam I have found is one mildly pornographic jpeg that is
in the folder with this music folder.
It does have a long,long, filename with lots of nasty words but it
begins with "con.HARDCORE~...ETC ETC)
When I am viewing in Explorer,
I can not right click it and get the dialog box to come up that would
allow me to delete this file. It just "blinks" as it is being selected
but nothing happens.
It is "grayed" out like it's a hidden file but I can double click on
it and it will load in a viewer.
I have read that I might be able to delete it in dos but I don't know
how to see the dos path. (the Windows naming conventions have spaces
and apostrophes and my dos skills are primitive).
I tried to delete it in Safe Mode but did not work.
The Windows Path is similar to this c:\my documents\Jimmy\Jimmy's New
Music
How can I find the dos name for this path/filename?

Can anybody help me. I don't want to buy software if I don't have to.
thanks